Analysis of the efficiency of the Iberian power futures market.

Capitán Herráiz, Álvaro and Rodríguez Monroy, Carlos (2009). Analysis of the efficiency of the Iberian power futures market.. "Energy Policy", v. 37 (n. 9); pp. 3566-3579. ISSN 0301-4215. https://doi.org/10.1016/j.enpol.2009.04.019.

Description

Title: Analysis of the efficiency of the Iberian power futures market.
Author/s:
  • Capitán Herráiz, Álvaro
  • Rodríguez Monroy, Carlos
Item Type: Article
Título de Revista/Publicación: Energy Policy
Date: September 2009
Volume: 37
Subjects:
Freetext Keywords: Iberian Power Futures Market; Market efficiency; Forward risk premium
Faculty: E.T.S.I. Industriales (UPM)
Department: Ingeniería de Organización, Administración de Empresas y Estadística
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price from compulsory call auctions for distribution companies within the framework of the Iberian Power Futures Market is not optimal for remuneration purposes as it seems to be slightly upward biased. In the period considered (August 2006–July 2008), monthly futures contracts behave similarly to quarterly contracts. Average risk premia have been positive in power and natural gas markets but negative in oil and coal markets. Different hypotheses are tested regarding increasing volatility with maturity and regarding Forward Risk Premium variations (decreasing with variance of spot prices during delivery period and increasing with skewness of spot prices during delivery period). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency. Regarding the emerging Iberian Power Futures Market, price efficiency is improved with market development of all the coexistent forward contracting mechanisms and with further integration of European Regional Electricity Markets.

More information

Item ID: 10254
DC Identifier: http://oa.upm.es/10254/
OAI Identifier: oai:oa.upm.es:10254
DOI: 10.1016/j.enpol.2009.04.019
Official URL: http://www.sciencedirect.com/science/article/pii/S0301421509002675
Deposited by: Memoria Investigacion
Deposited on: 13 Feb 2012 13:12
Last Modified: 20 Apr 2016 18:29
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